Dr. Sharif Ullah Mozumder
ProfessorUniversity of Dhaka, Bangladesh
Highest Degree
Ph.D. in Business and Management from University of Nottingham, UK
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Selected Publications
- Mozumder, S., T. Chowdhury and M. Dempsey, 2018. Spectral measures of risk for international futures markets: A comparison of extreme value and Levy models. Global Finance J., (In Press). 10.1016/j.gfj.2018.07.001.
CrossRef | Direct Link | - Mozumder, S., M. Dempsey and M.H. Kabir, 2017. Back-testing extreme value and Levy value-at-risk models: Evidence from international futures markets. J. Risk Finance, 18: 88-118.
CrossRef | Direct Link | - Mozumder, S., H. Kabir and M. Dempsey, 2017. Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets. Invest. Manage. Financial Innov., 14: 361-380.
Direct Link | - Mozumder, S., M. Dempsey, M.H. Kabir and T. Choudhry, 2016. An improved framework for approximating option prices with application to option portfolio hedging. Econ. Model., 59: 285-296.
CrossRef | Direct Link | - Mozumder, S. and A. Rahman, 2016. Market risk of investment in us subprime crisis: Comparison of a pure diffusion and a pure jump model. Ann. Financial Econ., Vol. 11. 10.1142/S2010495216500135.
CrossRef | Direct Link | - Mozumder, S., M. Anwar and A. Rahman, 2015. Alternative approximations to Cobb-Douglas production function: A revisit. Int. J. Sci. Applied Res., 2: 5-17.
- Mozumder, S., G. Sorwar and K. Dowd, 2015. Revisiting variance gamma pricing: An application to S&P500 index options. Int. J. Financial Eng., Vol. 2. 10.1142/S242478631550022X.
CrossRef | Direct Link | - Mozumder, S., A.S. Hossain, S. Tasnim and A. Rahman, 2015. Numerical schemes and Monte Carlo method for black and scholes partial differential equation: A comparative note. Universal J. Comput. Math., 3: 50-55.
CrossRef | Direct Link | - Mozumder, S., A. Rahman and S. Tasnim, 2015. Risk measures for risk-less investments: A verification. Int. J. Sci. Applied Res., 2: 11-15.
Direct Link | - Hossain, A.B.M., R. Bari and S. Mozumder, 2015. A numerical study of an application of the multi-parameter local bifurcation theory. Int. J. Sci. Applied Res., 2: 30-34.
- Mozumder, S., G. Sorwar and K. Dowd, 2013. Option pricing under non-normality: A comparative analysis. Rev. Quant. Finance Account., 40: 273-292.
CrossRef | Direct Link | - Hossain, A.B.M.S. and S. Mozumder, 2013. On determinants and sensitivities of option prices in delayed Black-Scholes model. Int. J. Social Sci., 11: 37-45.
Direct Link | - Sorwar, G. and S. Mozumder, 2010. Implied bond and derivative prices based on non-linear stochastic interest rate models. Applied Math., 1: 37-43.
CrossRef | Direct Link | - Paul, S., S. Ahmed Ullah and S.U. Mozumder, 2010. On Binomial Asset Pricing Model: With Convergence to Black-Scholes Model and Sigma Algebra. LAP LAMBERT Academic Publishing, Germany, ISBN-13: 978-3838383910, Pages: 72.
- Ullah, S.A., S. Paul and S. Mozumder, 2009. On information carriage through sigma-algebra in binomial asset pricing model. J. Stat. Stud., 28: 1-8.
- Mozumder, M.S.U., 2009. Some derivations on levy and jump processes. GANIT: J. Bangladesh Math. Soc., 29: 11-22.
CrossRef | Direct Link | - Mozumder, M. and J. Garrido, 2007. On the relation between the Levy measure and the jump function of a Levy process. Annales Mathematiques du Quebec, 32: 29-34.